A CONSISTENT MODEL SPECIFICATION TEST FOR A REGRESSION FUNCTION BASED ON NONPARAMETRIC WAVELET ESTIMATION
Authors:
Thanasis Stengos a;
Yiguo Sun b
| Affiliations: | a Department of Economics, University of Guelph, Guelph, Canada |
| b Department of Economics, University of Toronto, Toronto, Canada |
DOI:
10.1081/ETC-100104079
Publication Frequency:
6 issues per year
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Abstract
In this paper we present a consistent specification test of a parametric regression function against a general nonparametric alternative. The proposed test is based on wavelet estimation and it is shown to have similar rates of convergence to the more commonly used kernel based tests. Monte Carlo simulations show that this test statistic has adequate size and high power and that it compares favorably with its kernel based counterparts in small samples.
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| Keywords: Wavelets; Consistent specification test; Nonparametric regression; JEL Classification: C12, C14, C52 |
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